Shifts in global risk appetite move not just the middle of the emerging-market capital-flow and return distributions but their left tails, and usually the left tail more. Estimating panel quantile …
PublishedClassicReview of Financial StudiesOnline 7 Apr 2020Published Feb 2021
Identifying US monetary policy shocks from daily moves in five-year Treasury futures around FOMC announcements, this paper shows that during the unconventional-policy years those shocks largely …